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Stock volatility in the periods of booms and stagnations

Kaizoji, Taisei - 2010

time series of each of these indices in the two periods: booms and stagnations, and investigate the statistical properties …The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in … periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i) the …

Persistent link: https://www.econbiz.de/10011524072

On Modelling Long Term Stock Returns with Ergodic Diffusion Processes : Arbitrage and Arbitrage-Free Specifications

Wong, Bernard - 2008

We investigate the arbitrage-free property of stock price models where the local martingale component is based on an ergodic diffusion with a specified stationary distribution. These models are particularly useful for insurer asset-liability management as they allow the modelling of long term...

Persistent link: https://www.econbiz.de/10014212786

Deviation from Normality and Sharpe Ratio Behavior : A Brief Simulation Study

Gatfaoui, Hayette - 2011

Sharpe ratio has been widely used in the portfolio management industry as well as fund industry (Robertson, 2001; Scholz and Wilkens, 2005). Users often forget the main core assumption describing the appropriateness of such risk-adjusted performance measure, namely asset return normality. This...

Persistent link: https://www.econbiz.de/10013134519

Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns

Stoyanov, Stoyan V. - 2010

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has...

Persistent link: https://www.econbiz.de/10013134876

Forecasting Extreme Volatility of FTSE-100 with Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices

Markose, Sheri M. - 2013

Since its introduction in 2003, volatility indices such as the VIX based on the model-free implied volatility (MFIV) have become the industry standard for assessing equity market volatility. MFIV suffers from estimation bias which typically underestimates volatility during extreme market...

Persistent link: https://www.econbiz.de/10013086118

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions

Orlando, Giuseppe; Bufalo, Michele - 2021

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

Persistent link: https://www.econbiz.de/10014361764

Empirical Evidences on the Interconnectedness between Sampling and Asset Returns’ Distributions

Orlando, Giuseppe; Bufalo, Michele - 2021

Persistent link: https://www.econbiz.de/10014361766

How to Get the Asset Return Structure and Distribution Under the Presence of Transaction Costs

Bui, Anh Vu - 2012

Various results in economical and financial literature are built without taking into consideration market frictions. For instance, many of the well-known results on asset return structures and distributions do not involve the transaction costs. However any investor is aware that the indexes or...

Persistent link: https://www.econbiz.de/10013113052

Italian Open-End Funds : Performance of Asset Management Companies

Bianchi, Michele Leonardo - 2011

We empirically analyse the returns of both Italian and round-trip open-end funds managed by Italian asset management companies (SGRs) in the period 2003-2008. Taking into account a modified version of the capital asset pricing model (CAPM), we estimated a performance measure for each asset...

Persistent link: https://www.econbiz.de/10013125743

Models for heavy-tailed asset returns

Borak, Szymon; Misiorek, Adam; Weron, Rafał - 2010

Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR – rest upon the assumption that asset returns follow a...

Persistent link: https://www.econbiz.de/10008663369